def proportion_pd_object_intraday(data,
closing_time=pd.DateOffset(hours=23,
minutes=0,
seconds=0)):
"""
Return the proportion of intraday data in a pd.Series or DataFrame
:param data: the underlying data
:param closing_time: the time which we are using as a closing time
:return: float, the proportion of the data.index that matches an intraday timestamp
So 0 = All daily data, 1= All intraday data
"""
data_index = data.index
length_index = len(data_index)
count_matches = [
time_matches(index_entry, closing_time) for index_entry in data_index
]
total_matches = sum(count_matches)
proportion_matching_close = float(total_matches) / float(length_index)
proportion_intraday = 1 - proportion_matching_close
return proportion_intraday
def strip_out_intraday(data, closing_time = pd.DateOffset(hours=23, minutes=0, seconds=0)):
"""
Return a pd.Series or DataFrame with only the times matching closing_time
Used when we have a mix of daily and intraday data, where the daily data has been given a nominal timestamp
:param data: pd object
:param closing_time: pdDateOffset with
:return: pd object
"""
data_index = data.index
length_index = len(data_index)
daily_matches = [time_matches(index_entry, closing_time) for index_entry in data_index]
return data[daily_matches]
def proportion_pd_object_intraday(
data, closing_time=NOTIONAL_CLOSING_TIME_AS_PD_OFFSET):
"""
Return the proportion of intraday data in a pd.Series or DataFrame
:param data: the underlying data
:param closing_time: the time which we are using as a closing time
:return: float, the proportion of the data.index that matches an intraday timestamp
So 0 = All daily data, 1= All intraday data
"""
data_index = data.index
length_index = len(data_index)
count_matches = [
time_matches(index_entry, closing_time) for index_entry in data_index
]
total_matches = sum(count_matches)
proportion_matching_close = float(total_matches) / float(length_index)
proportion_intraday = 1 - proportion_matching_close
return proportion_intraday
def intraday_date_rows_in_pd_object(pd_object):
return pd_object[[
not time_matches(index_entry, NOTIONAL_CLOSING_TIME_AS_PD_OFFSET)
for index_entry in pd_object.index
]]
